High volatility, sideways markets
I don't want to derail the topic too much, but I feel others in this topic would be interested in this information too. How do you learn...
Bitcoins
How long is your backtest period and what Sharpe ratio/annual return do you see in your backtest?
Which instruments/strategy did the losses come from? Did the short vol portion explode or were the trend and carry parts also carried out? Are...
Nice findings. This probably would not change the results, but is there an advantage to have the weight of each future be the sign of its skew...
Interestingly, in backtest, the skew on the daily returns of the trend following strategy is negative, while the skew on monthly returns are...
How did you pick this value? Do you know why the results would be so sensitive to how long the lookback is?
GAT, how do you calculate your individual instrument volatility forecasts (for risk targeting)? I've tried various timeframes for rolling stdev...
How have your returns continued in the years since the first post? Did you manage to catch the large trends over the last couple of years?
Will you reduce exposure in GBP-related instruments leading up to the "brexit" referendum given the potential for GBP to drop 20% in one day?
I see, that's an interesting way to think about it. Have you done any testing on spot FX trading? I have seen papers with very impressive results...
No worry, a year indeed feels like 60 months sometimes :) I understand your first point. Low correlation instruments would boost overall sharpe...
The frequency response curve looks interesting. How did you produce it and what does it represent?
Do you mean $1440/yr? Have you ever backtested a version of your strategy with ICE instruments?
Any particular reason why you don't have any ICE names on the list? (brent, sugar, coffee, etc). One would think they could further add to your...
Sorry if you already have this posted somewhere in the thread -- what is your full universe of futures? Do you trade all of these instruments on...
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